Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Sep 30 (1D) | Oct 01 (2D) | Oct 02 (3D) | Oct 03 (4D) | Oct 06 (7D) | Oct 07 (8D) | Oct 08 (9D) | Oct 09 (10D) | Oct 10 (11D) | Oct 13 (14D) | Oct 17 (18D) | Oct 24 (25D) | Oct 31 (32D) | Nov 07 (39D) | Nov 14 (46D) | Nov 21 (53D) | Nov 28 (60D) | Dec 05 (67D) | Dec 12 (74D) | Dec 19 (81D) | Dec 26 (88D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 657.789 | 655.484 | 653.715 | 652.223 | 648.629 | 647.612 | 646.657 | 645.754 | 644.895 | 642.529 | 639.741 | 635.526 | 631.870 | 628.596 | 625.605 | 622.835 | 620.242 | 617.796 | 615.476 | 613.262 | 611.143 |
| upper | 668.921 | 671.226 | 672.995 | 674.487 | 678.081 | 679.098 | 680.053 | 680.956 | 681.815 | 684.181 | 686.969 | 691.184 | 694.840 | 698.114 | 701.105 | 703.875 | 706.468 | 708.914 | 711.234 | 713.448 | 715.567 |
| expected move | 5.566 | 7.871 | 9.640 | 11.132 | 14.726 | 15.743 | 16.698 | 17.601 | 18.460 | 20.826 | 23.614 | 27.829 | 31.485 | 34.759 | 37.750 | 40.520 | 43.113 | 45.559 | 47.879 | 50.093 | 52.212 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
